Jonathan Chávez website

I am an Associate Professor of Mathematics at the University of Rhode Island where I started working as an Assistant Professor in 2017. In addition to helping the Department of Mathematics and Applied Mathematical Sciences, I also contribute to the Data Science program at URI. I did my PhD in Mathematics along with a MSc in Computational Finance at Purdue University under the supervision of Prof. Figueroa-López, where my thesis focused, partly on constructing a microscopic Limit Order book model where the outstanding information on the non-executing side of the book is kept and the spread is allowed to move more than 1 tick, but also some efficient simulation algorithms were deviced, since the event-by-event simulation becomes untractable.

Other than the PhD, I did a postdoc at The University of Calgary, where I continue working on the dynamics of the Limit Order book. Also, before my PHD, I did my Bachelor’s degree in Applied Mathematics at Universidad Anáhuac in México City, México which is the country I was born.